It depends. I keep myself to myself when I feel that the people I know won't appreciate certain aspects of who I am adequately. I'm very sensitive about certain areas of my life, and I keep them hidden even from those who I trust and confide in.
Sometimes, in conversation, opportunities to bring up certain interests or insights arise, and I let them pass. Usually the atmosphere isn't right. I ask myself, 'will anyone really appreciate this deeply personal part of who I am?' the answer is almost always a definite no. I can't have people treat these things as if they don't matter. Even moreso, if they reject that aspect of me, I take it as almost a personal rejection. Even if people unwittingly bash a certain character trait, belief, or personal taste I have, my level of privacy goes way up around them, and they have to earn my trust somehow before they can know too much about me.
So, I'd say, it's a way of protecting your idenity from unneeded judgment, attack, or being misunderstood. Since you control what you disclose about yourself, you're controlling what other people can use to develop their opinion of you. Also, it keeps people guessing, and gives you a sense of myster, which reveals who is genuinely interested in getting to know you and who's just making smalltalk so they can make superficial judgements about you based on their own opinions.